Sequential Estimation of Structural Models with a Fixed Point Constraint
This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL) algorithm converges to a consistent estimator and derive its convergence rate. We find that the NPL algorithm may not necessarily converge to a consistent estimator when the fixed point mapping does not have a local contraction property. To address the issue of divergence, we propose alternative sequential estimation procedures that can converge to a consistent estimator even when the NPL algorithm does not.
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Paper provided by Graduate School of Economics, Hitotsubashi University in its series Discussion Papers with number
2009-18.
| Length: | 29 p. |
| Date of creation: | Nov 2009 |
| Handle: | RePEc:hit:econdp:2009-18 |
| Contact details of provider: | Phone: +81-42-580-8000 Web page: http://www.econ.hit-u.ac.jp/ More information through EDIRC
|
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